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These are hypothetical performance results that have certain inherent limitations. Learn more

Forensic Alpha
(115316008)

Created by: j_boyle j_boyle
Started: 12/2016
Stocks
Last trade: 897 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $43.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
9.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(50.8%)
Max Drawdown
171
Num Trades
60.2%
Win Trades
3.2 : 1
Profit Factor
64.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             (1.3%)(1.3%)
2017+2.3%+4.9%(1.4%)+1.6%+1.4%+2.2%+2.4%+1.0%+1.1%+5.6%+1.8%+0.1%+25.6%
2018+7.2%+0.3%(7.8%)(0.5%)+4.6%(1.4%)+5.1%+3.3%(1.4%)(9.5%)+0.3%(11.6%)(12.6%)
2019+12.5%+2.5%+2.3%+5.3%(5.8%)+5.1%(3.1%)(3.3%)+0.6%+3.1%+5.0%+3.8%+30.3%
2020+1.1%(8.1%)(15%)+17.1%+5.6%+4.8%+10.5%+10.3%(8.3%)(2.5%)+10.0%+7.0%+31.5%
2021+1.2%+0.2%+2.1%+1.6%(2.8%)+7.9%+1.8%+2.8%(6.5%)+10.2%(3.7%)(3.2%)+11.0%
2022(13.2%)(5.1%)+4.0%(17.8%)(2.5%)+1.7%(4.1%)(1.9%)(13.1%)+6.2%+10.8%(6.3%)(37%)
2023(11.2%)+18.1%+2.0%+3.9%+1.3%+7.1%+3.8%(5.4%)(5.2%)(1.5%)+7.9%+7.3%+28.0%
2024+5.2%+9.8%+4.0%                                                      +20.2%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/2/20 10:35 STMP STAMPS.COM LONG 1 185.58 10/4/21 16:00 330.00 0.09%
Trade id #132596081
Max drawdown($26)
Time5/13/21 0:00
Quant open1
Worst price159.22
Drawdown as % of equity-0.09%
$144
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 WING WINGSTOP INC. COMMON STOCK LONG 1 123.20 1/14/21 13:48 148.15 0.04%
Trade id #131941925
Max drawdown($10)
Time11/2/20 0:00
Quant open1
Worst price112.47
Drawdown as % of equity-0.04%
$25
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:32 WST WEST PHARMACEUTICAL LONG 1 282.14 1/14/21 13:48 298.31 0.08%
Trade id #131941986
Max drawdown($22)
Time12/10/20 0:00
Quant open1
Worst price259.83
Drawdown as % of equity-0.08%
$16
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 SNPS SYNOPSYS LONG 2 220.07 1/14/21 13:47 237.88 0.06%
Trade id #131941968
Max drawdown($17)
Time11/24/20 0:00
Quant open2
Worst price211.20
Drawdown as % of equity-0.06%
$36
Includes Typical Broker Commissions trade costs of $0.04
10/28/20 9:31 NTES NETEASE LONG 1 87.60 1/14/21 13:43 106.48 0.02%
Trade id #131941930
Max drawdown($4)
Time11/3/20 0:00
Quant open1
Worst price82.93
Drawdown as % of equity-0.02%
$19
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 ICE INTERCONTINENTALEXCHANGE LONG 1 95.85 1/14/21 13:41 115.47 0.01%
Trade id #131941827
Max drawdown($3)
Time10/29/20 0:00
Quant open1
Worst price92.41
Drawdown as % of equity-0.01%
$20
Includes Typical Broker Commissions trade costs of $0.02
11/13/20 13:22 IDXX IDEXX LABORATORIES LONG 1 451.05 1/14/21 13:41 490.65 0.03%
Trade id #132252026
Max drawdown($7)
Time11/25/20 0:00
Quant open1
Worst price443.14
Drawdown as % of equity-0.03%
$40
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 EBS EMERGENT BIOSOLUTIONS LONG 2 93.56 1/14/21 13:39 106.36 0.11%
Trade id #131941803
Max drawdown($31)
Time11/23/20 0:00
Quant open2
Worst price77.73
Drawdown as % of equity-0.11%
$26
Includes Typical Broker Commissions trade costs of $0.04
10/28/20 9:31 GRMN GARMIN LONG 1 100.12 1/14/21 13:17 120.92 0.01%
Trade id #131941819
Max drawdown($2)
Time10/28/20 15:58
Quant open1
Worst price97.47
Drawdown as % of equity-0.01%
$21
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 TTWO TAKE-TWO INTERACTIVE SFTW LONG 1 165.98 1/14/21 13:16 196.48 0.06%
Trade id #131941960
Max drawdown($14)
Time11/2/20 0:00
Quant open1
Worst price151.00
Drawdown as % of equity-0.06%
$31
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 LRN STRIDE INC LONG 2 28.22 1/14/21 13:14 24.10 0.05%
Trade id #131941850
Max drawdown($15)
Time12/29/20 0:00
Quant open2
Worst price20.39
Drawdown as % of equity-0.05%
($8)
Includes Typical Broker Commissions trade costs of $0.04
11/13/20 13:22 DSDVY DSV A/S UADR LONG 1 80.86 12/22 10:01 83.79 0.01%
Trade id #132252046
Max drawdown($2)
Time11/30/20 0:00
Quant open1
Worst price78.61
Drawdown as % of equity-0.01%
$3
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 ORCL ORACLE CORP LONG 1 56.27 12/2 10:27 58.65 0%
Trade id #131941901
Max drawdown($1)
Time10/29/20 0:00
Quant open1
Worst price55.14
Drawdown as % of equity-0.00%
$2
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 CTXS CITRIX SYSTEMS LONG 1 117.86 12/2 10:26 125.78 0.02%
Trade id #131941848
Max drawdown($6)
Time11/10/20 0:00
Quant open1
Worst price111.26
Drawdown as % of equity-0.02%
$8
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 CSLLY CSL LIMITED LONG 1 101.62 12/2 10:25 109.69 0.01%
Trade id #131941750
Max drawdown($1)
Time11/2/20 0:00
Quant open1
Worst price99.90
Drawdown as % of equity-0.01%
$8
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 SPOT SPOTIFY TECHNOLOGY SA LONG 3 281.43 12/2 10:24 265.59 0.62%
Trade id #131941934
Max drawdown($159)
Time11/2/20 0:00
Quant open3
Worst price228.11
Drawdown as % of equity-0.62%
($48)
Includes Typical Broker Commissions trade costs of $0.06
10/28/20 9:30 CRMT AMERICA'S CAR-MART LONG 3 86.45 12/2 10:23 104.77 0.04%
Trade id #131941685
Max drawdown($11)
Time10/29/20 0:00
Quant open3
Worst price82.72
Drawdown as % of equity-0.04%
$55
Includes Typical Broker Commissions trade costs of $0.06
10/28/20 9:30 AVY AVERY DENNISON LONG 1 135.18 11/25 14:13 151.48 0%
Trade id #131941697
Max drawdown($0)
Time10/28/20 11:33
Quant open1
Worst price134.50
Drawdown as % of equity-0.00%
$16
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 DASTY DASSAULT SYSTEME A LONG 1 170.27 11/25 14:12 181.98 0.01%
Trade id #131941761
Max drawdown($2)
Time11/2/20 0:00
Quant open1
Worst price168.10
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 NKE NIKE LONG 1 125.28 11/25 14:12 134.57 0.02%
Trade id #131941878
Max drawdown($6)
Time10/30/20 0:00
Quant open1
Worst price118.80
Drawdown as % of equity-0.02%
$9
Includes Typical Broker Commissions trade costs of $0.02
11/13/20 13:24 ABT ABBOTT LABORATORIES LONG 1 111.98 11/25 14:11 105.89 0.02%
Trade id #132252081
Max drawdown($6)
Time11/25/20 14:10
Quant open1
Worst price105.84
Drawdown as % of equity-0.02%
($6)
Includes Typical Broker Commissions trade costs of $0.02
11/13/20 13:21 ZTO ZTO EXPRESS CAYMAN LONG 3 32.99 11/25 14:11 29.29 0.04%
Trade id #132252000
Max drawdown($11)
Time11/24/20 0:00
Quant open3
Worst price29.07
Drawdown as % of equity-0.04%
($11)
Includes Typical Broker Commissions trade costs of $0.06
10/28/20 9:31 AMPH AMPHASTAR PHARMACEUTICALS INC LONG 5 19.26 11/25 14:10 17.89 0.03%
Trade id #131941922
Max drawdown($8)
Time11/25/20 9:30
Quant open5
Worst price17.51
Drawdown as % of equity-0.03%
($7)
Includes Typical Broker Commissions trade costs of $0.10
10/28/20 9:30 EXPO EXPONENT LONG 1 72.95 11/20 11:29 82.09 0.02%
Trade id #131941711
Max drawdown($4)
Time10/30/20 0:00
Quant open1
Worst price68.42
Drawdown as % of equity-0.02%
$9
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 IQV IQVIA HOLDINGS INC LONG 1 155.75 11/19 12:00 168.49 0.02%
Trade id #131941775
Max drawdown($5)
Time10/30/20 0:00
Quant open1
Worst price150.66
Drawdown as % of equity-0.02%
$13
Includes Typical Broker Commissions trade costs of $0.02
10/28/20 9:31 RMD RESMED LONG 1 181.81 11/19 11:57 211.17 0.02%
Trade id #131941871
Max drawdown($4)
Time10/29/20 0:00
Quant open1
Worst price177.69
Drawdown as % of equity-0.02%
$29
Includes Typical Broker Commissions trade costs of $0.02
12/16/16 9:30 BABA ALIBABA GROUP HOLDING LIMITED LONG 1 712.00 10/28/20 9:38 886.15 3.84%
Trade id #115206263
Max drawdown($623)
Time12/16/16 15:49
Quant open1
Worst price88.56
Drawdown as % of equity-3.84%
$522
Includes Typical Broker Commissions trade costs of $0.04
6/2/17 9:31 YY YY INC. LONG 8 59.90 10/28/20 9:30 89.00 0.76%
Trade id #115207941
Max drawdown($148)
Time3/19/20 0:00
Quant open8
Worst price41.33
Drawdown as % of equity-0.76%
$233
Includes Typical Broker Commissions trade costs of $0.16
12/16/16 9:31 XLV HEALTH CARE SELECT SECTOR SPDR LONG 28 69.68 10/28/20 9:30 96.88 0.21%
Trade id #115207340
Max drawdown($33)
Time12/22/16 0:00
Quant open28
Worst price68.48
Drawdown as % of equity-0.21%
$761
Includes Typical Broker Commissions trade costs of $0.56
12/4/17 9:33 WAT WATERS LONG 1 201.44 10/28/20 9:30 220.80 0.24%
Trade id #115209405
Max drawdown($47)
Time3/23/20 0:00
Quant open1
Worst price154.39
Drawdown as % of equity-0.24%
$19
Includes Typical Broker Commissions trade costs of $0.02

Statistics

  • Strategy began
    12/16/2016
  • Suggested Minimum Cap
    $16,500
  • Strategy Age (days)
    2649.52
  • Age
    88 months ago
  • What it trades
    Stocks
  • # Trades
    171
  • # Profitable
    103
  • % Profitable
    60.20%
  • Avg trade duration
    290.7 days
  • Max peak-to-valley drawdown
    50.82%
  • drawdown period
    Nov 16, 2021 - Oct 13, 2022
  • Annual Return (Compounded)
    9.8%
  • Avg win
    $275.23
  • Avg loss
    $139.25
  • Model Account Values (Raw)
  • Cash
    $10,145
  • Margin Used
    $0
  • Buying Power
    $20,359
  • Ratios
  • W:L ratio
    3.16:1
  • Sharpe Ratio
    0.36
  • Sortino Ratio
    0.53
  • Calmar Ratio
    0.615
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -31.72%
  • Correlation to SP500
    0.65600
  • Return Percent SP500 (cumu) during strategy life
    128.05%
  • Return Statistics
  • Ann Return (w trading costs)
    9.8%
  • Slump
  • Current Slump as Pcnt Equity
    15.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.098%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.50%
  • Chance of 20% account loss
    47.00%
  • Chance of 30% account loss
    27.00%
  • Chance of 40% account loss
    9.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    4.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $139
  • Avg Win
    $275
  • Sum Trade PL (losers)
    $9,469.000
  • Age
  • Num Months filled monthly returns table
    88
  • Win / Loss
  • Sum Trade PL (winners)
    $28,349.000
  • # Winners
    103
  • Num Months Winners
    57
  • Dividends
  • Dividends Received in Model Acct
    1565
  • Win / Loss
  • # Losers
    68
  • % Winners
    60.2%
  • Frequency
  • Avg Position Time (mins)
    1506720.00
  • Avg Position Time (hrs)
    25112.00
  • Avg Trade Length
    1046.3 days
  • Last Trade Ago
    896
  • Leverage
  • Daily leverage (average)
    0.83
  • Daily leverage (max)
    1.16
  • Regression
  • Alpha
    -0.00
  • Beta
    1.03
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    54.42
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.97
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    467.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.965
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.209
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.454
  • Hold-and-Hope Ratio
    0.907
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21221
  • SD
    0.32714
  • Sharpe ratio (Glass type estimate)
    0.64870
  • Sharpe ratio (Hedges UMVUE)
    0.63545
  • df
    37.00000
  • t
    1.15438
  • p
    0.12787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47543
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74633
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21302
  • Upside Potential Ratio
    2.78702
  • Upside part of mean
    0.48758
  • Downside part of mean
    -0.27537
  • Upside SD
    0.27812
  • Downside SD
    0.17495
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.22132
  • Mean of criterion
    0.21221
  • SD of predictor
    0.23407
  • SD of criterion
    0.32714
  • Covariance
    0.07109
  • r
    0.92837
  • b (slope, estimate of beta)
    1.29751
  • a (intercept, estimate of alpha)
    -0.07495
  • Mean Square Error
    0.01519
  • DF error
    36.00000
  • t(b)
    14.98740
  • p(b)
    0.00000
  • t(a)
    -1.04289
  • p(a)
    0.84802
  • Lowerbound of 95% confidence interval for beta
    1.12193
  • Upperbound of 95% confidence interval for beta
    1.47309
  • Lowerbound of 95% confidence interval for alpha
    -0.22071
  • Upperbound of 95% confidence interval for alpha
    0.07080
  • Treynor index (mean / b)
    0.16356
  • Jensen alpha (a)
    -0.07495
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16163
  • SD
    0.31298
  • Sharpe ratio (Glass type estimate)
    0.51642
  • Sharpe ratio (Hedges UMVUE)
    0.50587
  • df
    37.00000
  • t
    0.91898
  • p
    0.18203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61329
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84368
  • Upside Potential Ratio
    2.36765
  • Upside part of mean
    0.45359
  • Downside part of mean
    -0.29196
  • Upside SD
    0.24669
  • Downside SD
    0.19158
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.19457
  • Mean of criterion
    0.16163
  • SD of predictor
    0.22035
  • SD of criterion
    0.31298
  • Covariance
    0.06314
  • r
    0.91550
  • b (slope, estimate of beta)
    1.30034
  • a (intercept, estimate of alpha)
    -0.09138
  • Mean Square Error
    0.01630
  • DF error
    36.00000
  • t(b)
    13.65310
  • p(b)
    0.00000
  • t(a)
    -1.23337
  • p(a)
    0.88728
  • Lowerbound of 95% confidence interval for beta
    1.10719
  • Upperbound of 95% confidence interval for beta
    1.49350
  • Lowerbound of 95% confidence interval for alpha
    -0.24165
  • Upperbound of 95% confidence interval for alpha
    0.05888
  • Treynor index (mean / b)
    0.12430
  • Jensen alpha (a)
    -0.09138
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12641
  • Expected Shortfall on VaR
    0.15831
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04274
  • Expected Shortfall on VaR
    0.09078
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.76696
  • Quartile 1
    0.96808
  • Median
    1.02193
  • Quartile 3
    1.05326
  • Maximum
    1.38210
  • Mean of quarter 1
    0.92111
  • Mean of quarter 2
    1.00149
  • Mean of quarter 3
    1.03443
  • Mean of quarter 4
    1.12261
  • Inter Quartile Range
    0.08518
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.76696
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.28919
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19659
  • VaR(95%) (moments method)
    0.08074
  • Expected Shortfall (moments method)
    0.12370
  • Extreme Value Index (regression method)
    0.55592
  • VaR(95%) (regression method)
    0.07629
  • Expected Shortfall (regression method)
    0.16395
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00754
  • Quartile 1
    0.02679
  • Median
    0.04240
  • Quartile 3
    0.06648
  • Maximum
    0.39845
  • Mean of quarter 1
    0.01329
  • Mean of quarter 2
    0.03566
  • Mean of quarter 3
    0.05565
  • Mean of quarter 4
    0.18291
  • Inter Quartile Range
    0.03970
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.39845
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.69703
  • VaR(95%) (moments method)
    0.22357
  • Expected Shortfall (moments method)
    0.80303
  • Extreme Value Index (regression method)
    3.37463
  • VaR(95%) (regression method)
    0.76867
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25973
  • Compounded annual return (geometric extrapolation)
    0.20869
  • Calmar ratio (compounded annual return / max draw down)
    0.52376
  • Compounded annual return / average of 25% largest draw downs
    1.14093
  • Compounded annual return / Expected Shortfall lognormal
    1.31824
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27429
  • SD
    0.33792
  • Sharpe ratio (Glass type estimate)
    0.81171
  • Sharpe ratio (Hedges UMVUE)
    0.81098
  • df
    839.00000
  • t
    1.45342
  • p
    0.07324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90628
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18680
  • Upside Potential Ratio
    7.04186
  • Upside part of mean
    1.62750
  • Downside part of mean
    -1.35321
  • Upside SD
    0.24683
  • Downside SD
    0.23112
  • N nonnegative terms
    479.00000
  • N negative terms
    361.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    840.00000
  • Mean of predictor
    0.25427
  • Mean of criterion
    0.27429
  • SD of predictor
    0.23897
  • SD of criterion
    0.33792
  • Covariance
    0.06179
  • r
    0.76513
  • b (slope, estimate of beta)
    1.08193
  • a (intercept, estimate of alpha)
    -0.00100
  • Mean Square Error
    0.04740
  • DF error
    838.00000
  • t(b)
    34.39920
  • p(b)
    0.00000
  • t(a)
    -0.00662
  • p(a)
    0.50264
  • Lowerbound of 95% confidence interval for beta
    1.02019
  • Upperbound of 95% confidence interval for beta
    1.14366
  • Lowerbound of 95% confidence interval for alpha
    -0.23997
  • Upperbound of 95% confidence interval for alpha
    0.23836
  • Treynor index (mean / b)
    0.25352
  • Jensen alpha (a)
    -0.00081
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21707
  • SD
    0.33838
  • Sharpe ratio (Glass type estimate)
    0.64150
  • Sharpe ratio (Hedges UMVUE)
    0.64092
  • df
    839.00000
  • t
    1.14864
  • p
    0.12552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73596
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90363
  • Upside Potential Ratio
    6.65317
  • Upside part of mean
    1.59825
  • Downside part of mean
    -1.38118
  • Upside SD
    0.23841
  • Downside SD
    0.24022
  • N nonnegative terms
    479.00000
  • N negative terms
    361.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    840.00000
  • Mean of predictor
    0.22542
  • Mean of criterion
    0.21707
  • SD of predictor
    0.24030
  • SD of criterion
    0.33838
  • Covariance
    0.06224
  • r
    0.76548
  • b (slope, estimate of beta)
    1.07792
  • a (intercept, estimate of alpha)
    -0.02591
  • Mean Square Error
    0.04747
  • DF error
    838.00000
  • t(b)
    34.43720
  • p(b)
    0.00000
  • t(a)
    -0.21257
  • p(a)
    0.58414
  • Lowerbound of 95% confidence interval for beta
    1.01648
  • Upperbound of 95% confidence interval for beta
    1.13935
  • Lowerbound of 95% confidence interval for alpha
    -0.26514
  • Upperbound of 95% confidence interval for alpha
    0.21332
  • Treynor index (mean / b)
    0.20138
  • Jensen alpha (a)
    -0.02591
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03300
  • Expected Shortfall on VaR
    0.04138
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01045
  • Expected Shortfall on VaR
    0.02333
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    840.00000
  • Minimum
    0.84593
  • Quartile 1
    0.99570
  • Median
    1.00129
  • Quartile 3
    1.00662
  • Maximum
    1.14335
  • Mean of quarter 1
    0.98074
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00399
  • Mean of quarter 4
    1.02092
  • Inter Quartile Range
    0.01093
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.08095
  • Mean of outliers low
    0.95968
  • Number of outliers high
    46.00000
  • Percentage of outliers high
    0.05476
  • Mean of outliers high
    1.05394
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64506
  • VaR(95%) (moments method)
    0.01815
  • Expected Shortfall (moments method)
    0.05698
  • Extreme Value Index (regression method)
    0.25539
  • VaR(95%) (regression method)
    0.01676
  • Expected Shortfall (regression method)
    0.02937
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    62.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00206
  • Median
    0.00729
  • Quartile 3
    0.01786
  • Maximum
    0.45118
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00422
  • Mean of quarter 3
    0.01122
  • Mean of quarter 4
    0.10751
  • Inter Quartile Range
    0.01580
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.16129
  • Mean of outliers high
    0.15826
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.91197
  • VaR(95%) (moments method)
    0.10562
  • Expected Shortfall (moments method)
    1.28881
  • Extreme Value Index (regression method)
    0.97860
  • VaR(95%) (regression method)
    0.11086
  • Expected Shortfall (regression method)
    5.41415
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37221
  • Compounded annual return (geometric extrapolation)
    0.27759
  • Calmar ratio (compounded annual return / max draw down)
    0.61527
  • Compounded annual return / average of 25% largest draw downs
    2.58208
  • Compounded annual return / Expected Shortfall lognormal
    6.70798
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04559
  • SD
    0.55010
  • Sharpe ratio (Glass type estimate)
    -0.08287
  • Sharpe ratio (Hedges UMVUE)
    -0.08239
  • df
    130.00000
  • t
    -0.05860
  • p
    0.50257
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.85458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85422
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68943
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.11446
  • Upside Potential Ratio
    7.36267
  • Upside part of mean
    2.93243
  • Downside part of mean
    -2.97802
  • Upside SD
    0.37640
  • Downside SD
    0.39828
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26307
  • Mean of criterion
    -0.04559
  • SD of predictor
    0.33032
  • SD of criterion
    0.55010
  • Covariance
    0.14067
  • r
    0.77417
  • b (slope, estimate of beta)
    1.28927
  • a (intercept, estimate of alpha)
    -0.38475
  • Mean Square Error
    0.12218
  • DF error
    129.00000
  • t(b)
    13.89140
  • p(b)
    0.06218
  • t(a)
    -0.77738
  • p(a)
    0.54344
  • Lowerbound of 95% confidence interval for beta
    1.10564
  • Upperbound of 95% confidence interval for beta
    1.47290
  • Lowerbound of 95% confidence interval for alpha
    -1.36400
  • Upperbound of 95% confidence interval for alpha
    0.59449
  • Treynor index (mean / b)
    -0.03536
  • Jensen alpha (a)
    -0.38475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.19815
  • SD
    0.55698
  • Sharpe ratio (Glass type estimate)
    -0.35575
  • Sharpe ratio (Hedges UMVUE)
    -0.35370
  • df
    130.00000
  • t
    -0.25156
  • p
    0.51103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.12730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12584
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41844
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47400
  • Upside Potential Ratio
    6.85140
  • Upside part of mean
    2.86412
  • Downside part of mean
    -3.06227
  • Upside SD
    0.36505
  • Downside SD
    0.41803
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20862
  • Mean of criterion
    -0.19815
  • SD of predictor
    0.33122
  • SD of criterion
    0.55698
  • Covariance
    0.14269
  • r
    0.77345
  • b (slope, estimate of beta)
    1.30064
  • a (intercept, estimate of alpha)
    -0.46949
  • Mean Square Error
    0.12561
  • DF error
    129.00000
  • t(b)
    13.85920
  • p(b)
    0.06247
  • t(a)
    -0.93599
  • p(a)
    0.55223
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    1.11496
  • Upperbound of 95% confidence interval for beta
    1.48631
  • Lowerbound of 95% confidence interval for alpha
    -1.46191
  • Upperbound of 95% confidence interval for alpha
    0.52293
  • Treynor index (mean / b)
    -0.15235
  • Jensen alpha (a)
    -0.46949
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05574
  • Expected Shortfall on VaR
    0.06915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02644
  • Expected Shortfall on VaR
    0.05296
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84593
  • Quartile 1
    0.98381
  • Median
    1.00000
  • Quartile 3
    1.01262
  • Maximum
    1.08478
  • Mean of quarter 1
    0.96199
  • Mean of quarter 2
    0.99310
  • Mean of quarter 3
    1.00543
  • Mean of quarter 4
    1.03937
  • Inter Quartile Range
    0.02881
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.89981
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.07106
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46396
  • VaR(95%) (moments method)
    0.04222
  • Expected Shortfall (moments method)
    0.08446
  • Extreme Value Index (regression method)
    0.32842
  • VaR(95%) (regression method)
    0.03684
  • Expected Shortfall (regression method)
    0.06072
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00047
  • Quartile 1
    0.00309
  • Median
    0.01065
  • Quartile 3
    0.01351
  • Maximum
    0.45118
  • Mean of quarter 1
    0.00178
  • Mean of quarter 2
    0.01065
  • Mean of quarter 3
    0.01351
  • Mean of quarter 4
    0.45118
  • Inter Quartile Range
    0.01042
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.45118
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -431349000
  • Max Equity Drawdown (num days)
    331
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.16320
  • Compounded annual return (geometric extrapolation)
    -0.15654
  • Calmar ratio (compounded annual return / max draw down)
    -0.34696
  • Compounded annual return / average of 25% largest draw downs
    -0.34696
  • Compounded annual return / Expected Shortfall lognormal
    -2.26387

Strategy Description

For a limited time only, now through the end of the year 2020, use the coupon code: UGTU43332 and get 25% off a full year of subscription fees, or $32 per month.

This account is based on actual holdings in my Fidelity account. I combine deep fundamental analysis, including the use of probability-weighted Discounted Cash Flows to find the best estimate of intrinsic value, coupled with a detailed analysis of the companies' main competitive advantages. I use genetic algorithms (artificial intelligence) to help me screen for the best investment ideas in each industry. Although I used algorithms, at the end of the day there is always a human pressing the execute button. No idea makes it into the portfolio unless the economic rationale is sound, the growth is high, and the implied market upside is substantial. This portfolio has shown to exhibit less volatility than the market over time. A significant portion of my net worth is tied to this real-money portfolio. The manager of this strategy is a CFA charterholder, and an MBA from a top 10 US business school.

Summary Statistics

Strategy began
2016-12-16
Suggested Minimum Capital
$15,000
# Trades
171
# Profitable
103
% Profitable
60.2%
Net Dividends
Correlation S&P500
0.656
Sharpe Ratio
0.36
Sortino Ratio
0.53
Beta
1.03
Alpha
-0.00
Leverage
0.83 Average
1.16 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.